Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

被引：70

作者：

Sun, Zhongyang ^{[1
]}

Zheng, Xiaoxiao ^{[1
]}

Zhang, Xin ^{[2
]}

机构：

[1] Sun Yat Sen Univ, Sch Math, Guangzhou 510275, Guangdong, Peoples R China

[2] Southeast Univ, Dept Math, Nanjing 210096, Jiangsu, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2017年 / 446卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Robust optimal control; Investment and reinsurance; Defaultable bond; CARA utility; Dynamic programming approach; PROPORTIONAL REINSURANCE; PORTFOLIO SELECTION; MODEL UNCERTAINTY; DIFFUSION RISK; BENCHMARK; AMBIGUITY; CHOICE; RULES; JUMP;

D O I：

10.1016/j.jmaa.2016.09.053

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper considers a robust optimal investment and reinsurance problem under model ambiguity and default risk for an insurer, who can trade in a saving account, a stock and a defaultable bond and aims to maximize the minimal expected CARA utility. The surplus process of the insurer is assumed to follow the Cramer-Lundberg model. In particular, both the insurance and reinsurance premium are assumed to be calculated via the variance premium principle. By using the dynamic programming approach, we study the pre-default case and post-default case respectively, then closed-form expressions for the optimal strategies and the corresponding value function are derived. Finally, numerical examples are given to illustrate our main results, and we discuss relevant economic insights obtained from these results. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：1666 / 1686

页数：21

共 50 条

[1] OPTIMAL ROBUST REINSURANCE CONTRACTS WITH INVESTMENT STRATEGY UNDER VARIANCE PREMIUM PRINCIPLE
Jiang, Wuyuan
Yang, Zhaojun
[J]. MATHEMATICAL CONTROL AND RELATED FIELDS, 2024, 14 (01) : 199 - 214
[2] Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model
Yan, Yiqi
Rong, Ximin
Zhao, Hui
[J]. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 2023,
[3] Optimal Reinsurance Strategy for an Insurer and a Reinsurer with Generalized Variance Premium Principle
Li, Danping
Shen, Chaohai
[J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020
[4] Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps
Zhang, Qiang
Wang, Weiwei
Cui, Qianqian
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2024,
[5] Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
Yi, Bo
Viens, Frederi
Li, Zhongfei
Zeng, Yan
[J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2015, (08) : 725 - 751
[6] Optimal investment and reinsurance problem for the insurer's and the reinsurer's interests under default risk
Zhang, Yongtao
Zhao, Hui
Rong, Ximin
[J]. 1721, Systems Engineering Society of China (40): : 1721 - 1734
[7] Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
Zhang, Yongtao
Zhao, Hui
Rong, Ximin
Han, Kai
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (19) : 6535 - 6558
[8] Optimal deterministic reinsurance and investment for an insurer under mean-variance criterion
Chen, Fenge
Peng, Xingchun
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2021, 50 (13) : 3123 - 3136
[9] Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
Deng, Yingchun
Li, Man
Huang, Ya
Zhou, Jieming
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2021, 50 (21) : 5126 - 5159
[10] Robust optimal investment and reinsurance for an insurer with inside information
Peng, Xingchun
Chen, Fenge
Wang, Wenyuan
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2021, 96 : 15 - 30

← 1 2 3 4 5 →